Jeff, I agree completely because like you I’m an experienced user. I was asked to add that feature to Messenger:Mate for the less experienced users, the ones that click blindly on every link. I’m suprised it’s not a standard feature of AIM as it’s relatively simple for them to add.
Messenger:Mate for AIM (http://www.messengermate.com) protects you against this type of stealth URL by warning when you click on links that point to potentially dangerous file extensions giving you the ability to stop it before it even downloads.